| Autor: |
Xinglin Yang, Juan Huang |
| Jazyk: |
angličtina |
| Rok vydání: |
2024 |
| Předmět: |
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| Zdroj: |
Journal of Management Science and Engineering, Vol 9, Iss 4, Pp 568-586 (2024) |
| Druh dokumentu: |
article |
| ISSN: |
2096-2320 |
| DOI: |
10.1016/j.jmse.2024.07.002 |
| Popis: |
In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the arbitrageurs optimize portfolios based on mean-variance preferences. The model-implied futures prices are affected by the variance and demand risk factors. Theoretical and empirical analyses show that incorporating jump risks helps to explain the higher-order moments of futures and that including the demand factor improves futures pricing performance. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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